Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.4% Cumul. Return since Sep 23, 2025 Hypothetical

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Key Lime
(25859186)

Created by: HansHansen HansHansen
Started: 04/2007
Futures
Last trade: 6,035 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-6.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(97.0%)
Max Drawdown
222
Num Trades
43.7%
Win Trades
0.7 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                     +8.1%+2.6%(1.4%)+13.1%(10.8%)(0.1%)(0.1%)(18.4%)(2.4%)(12.4%)
2008(6%)(9.1%)(33.3%)+3.7%(14.4%)(4.4%)(9.2%)+2.0%(20.1%)(18.9%)(1.5%)+49.5%(57.3%)
2009(24.9%)(43.1%)+14.9%+10.5%+15.2%+3.5%(12.5%)(5.5%)(0.5%)(0.5%)+52.0%(0.3%)(19.7%)
2010(0.3%)(0.3%)(0.3%)  -    -    -    -    -    -    -    -    -  (1%)
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  (0.1%)  -    -    -    -    -    -  (0.1%)
2015  -    -    -    -    -  +0.1%  -    -    -    -    -    -  +0.1%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 162 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6451 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/1/09 19:27 @YGZ9 Mini Gold NYSE Liffe LONG 1 1046.5 11/30 15:41 1176.6 0.44%
Trade id #44397068
Max drawdown($49)
Time11/2/09 2:18
Quant open1
Worst price1045.0
Drawdown as % of equity-0.44%
 $4,311
Includes Typical Broker Commissions trade costs of $8.00
11/13/09 12:18 @MEZ9 E-MINI EURO FX LONG 1 1.4915 11/17 11:46 1.4820 4.34%
Trade id #44950201
Max drawdown($594)
Time11/17/09 10:51
Quant open1
Worst price1.4825
Drawdown as % of equity-4.34%
 ($602)
Includes Typical Broker Commissions trade costs of $8.00
11/2/09 10:30 YKF0 MINI SIZED SOYBEANS SHORT 1 970.500 11/2 14:11 992.000 1.87%
Trade id #44421539
Max drawdown($215)
Time11/2/09 14:09
Quant open-1
Worst price991.500
Drawdown as % of equity-1.87%
 ($223)
Includes Typical Broker Commissions trade costs of $8.00
8/24/09 20:25 @YGZ9 Mini Gold NYSE Liffe LONG 1 946.5 8/31 3:00 955.0 1.67%
Trade id #42678189
Max drawdown($179)
Time8/26/09 9:54
Quant open1
Worst price941.1
Drawdown as % of equity-1.67%
 $274
Includes Typical Broker Commissions trade costs of $8.00
8/25/09 19:33 @MEU9 E-MINI EURO FX SHORT 1 1.4288 8/26 14:45 1.4247 3.73%
Trade id #42702983
Max drawdown($400)
Time8/26/09 4:01
Quant open-1
Worst price1.4352
Drawdown as % of equity-3.73%
 $248
Includes Typical Broker Commissions trade costs of $8.00
8/12/09 12:09 @YGZ9 Mini Gold NYSE Liffe LONG 2 950.0 8/14 11:30 954.0 1.19%
Trade id #42406402
Max drawdown($126)
Time8/12/09 14:24
Quant open1
Worst price946.3
Drawdown as % of equity-1.19%
 $246
Includes Typical Broker Commissions trade costs of $16.00
8/11/09 15:12 @QGV9 MINY NATURAL GAS LONG 1 3.830 8/12 8:00 3.740 2.12%
Trade id #42361986
Max drawdown($225)
Time8/12/09 7:56
Quant open1
Worst price3.770
Drawdown as % of equity-2.12%
 ($233)
Includes Typical Broker Commissions trade costs of $8.00
8/5/09 11:23 @CZ9 CORN LONG 1 362 3/4 8/5 13:02 350 5.55%
Trade id #42237695
Max drawdown($638)
Time8/5/09 12:01
Quant open1
Worst price351
Drawdown as % of equity-5.55%
 ($646)
Includes Typical Broker Commissions trade costs of $8.00
8/5/09 11:33 YKX9 MINI SIZED SOYBEANS LONG 2 1041.000 8/5 11:56 1032.000 1.56%
Trade id #42238165
Max drawdown($180)
Time8/5/09 11:40
Quant open2
Worst price1038.250
Drawdown as % of equity-1.56%
 ($196)
Includes Typical Broker Commissions trade costs of $16.00
7/21/09 12:09 YKX9 MINI SIZED SOYBEANS SHORT 2 903.000 7/30 10:30 940.000 5.38%
Trade id #41879728
Max drawdown($740)
Time7/23/09 11:32
Quant open-2
Worst price936.000
Drawdown as % of equity-5.38%
 ($756)
Includes Typical Broker Commissions trade costs of $16.00
7/23/09 16:34 @MEU9 E-MINI EURO FX SHORT 1 1.4139 7/28 3:12 1.4300 8.17%
Trade id #41948586
Max drawdown($1,006)
Time7/27/09 6:46
Quant open-1
Worst price1.4298
Drawdown as % of equity-8.17%
 ($1,014)
Includes Typical Broker Commissions trade costs of $8.00
7/16/09 11:56 @QGU9 MINY NATURAL GAS LONG 1 3.760 7/23 14:28 3.710 1.74%
Trade id #41773196
Max drawdown($237)
Time7/20/09 10:43
Quant open1
Worst price3.665
Drawdown as % of equity-1.74%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00
7/16/09 13:00 YKX9 MINI SIZED SOYBEANS SHORT 2 890.000 7/20 10:30 927.000 5.33%
Trade id #41774210
Max drawdown($740)
Time7/17/09 13:54
Quant open-2
Worst price925.500
Drawdown as % of equity-5.33%
 ($756)
Includes Typical Broker Commissions trade costs of $16.00
7/10/09 10:40 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 1418.75 7/10 11:42 1408.25 0.37%
Trade id #41637791
Max drawdown($50)
Time7/10/09 10:58
Quant open-1
Worst price1421.25
Drawdown as % of equity-0.37%
 $202
Includes Typical Broker Commissions trade costs of $8.00
7/9/09 16:10 @MEU9 E-MINI EURO FX SHORT 1 1.4028 7/10 9:52 1.3934 0.7%
Trade id #41615764
Max drawdown($93)
Time7/9/09 16:50
Quant open-1
Worst price1.4043
Drawdown as % of equity-0.70%
 $580
Includes Typical Broker Commissions trade costs of $8.00
7/9/09 11:52 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 1415.25 7/9 12:22 1418.00 0.41%
Trade id #41605295
Max drawdown($55)
Time7/9/09 12:20
Quant open-1
Worst price1417.00
Drawdown as % of equity-0.41%
 ($63)
Includes Typical Broker Commissions trade costs of $8.00
7/7/09 15:13 @MEU9 E-MINI EURO FX SHORT 1 1.3918 7/9 4:21 1.3968 2.27%
Trade id #41537425
Max drawdown($313)
Time7/9/09 3:57
Quant open-1
Worst price1.3961
Drawdown as % of equity-2.27%
 ($321)
Includes Typical Broker Commissions trade costs of $8.00
7/8/09 13:46 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 1403.00 7/8 14:53 1402.50 0.25%
Trade id #41572524
Max drawdown($35)
Time7/8/09 13:49
Quant open-1
Worst price1404.75
Drawdown as % of equity-0.25%
 $2
Includes Typical Broker Commissions trade costs of $8.00
7/7/09 11:00 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 1420.00 7/7 15:32 1410.50 0.63%
Trade id #41527836
Max drawdown($85)
Time7/7/09 11:18
Quant open-1
Worst price1424.25
Drawdown as % of equity-0.63%
 $182
Includes Typical Broker Commissions trade costs of $8.00
6/30/09 11:47 @YGQ9 Mini Gold NYSE Liffe LONG 1 927.4 7/1 22:10 940.0 0.36%
Trade id #41398928
Max drawdown($39)
Time6/30/09 16:47
Quant open1
Worst price926.2
Drawdown as % of equity-0.36%
 $410
Includes Typical Broker Commissions trade costs of $8.00
6/30/09 10:58 @OU9 Oats LONG 1 206 1/4 7/1 19:29 232 n/a $1,280
Includes Typical Broker Commissions trade costs of $8.00
6/30/09 11:15 YKX9 MINI SIZED SOYBEANS LONG 1 954.000 7/1 13:22 1017.000 n/a $622
Includes Typical Broker Commissions trade costs of $8.00
6/30/09 11:14 YWU9 MINI SIZED WHEAT LONG 1 530 2/4 7/1 11:10 542 n/a $107
Includes Typical Broker Commissions trade costs of $8.00
6/29/09 12:24 YKX9 MINI SIZED SOYBEANS LONG 1 984.000 6/30 10:31 970.000 1.25%
Trade id #41371639
Max drawdown($140)
Time6/29/09 14:11
Quant open1
Worst price981.000
Drawdown as % of equity-1.25%
 ($148)
Includes Typical Broker Commissions trade costs of $8.00
6/12/09 8:27 @MEU9 E-MINI EURO FX SHORT 1 1.3940 6/17 14:15 1.3922 4.82%
Trade id #40949433
Max drawdown($556)
Time6/12/09 11:55
Quant open-1
Worst price1.4029
Drawdown as % of equity-4.82%
 $105
Includes Typical Broker Commissions trade costs of $8.00
6/12/09 10:00 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 1472.00 6/17 13:34 1464.00 3.12%
Trade id #40954605
Max drawdown($335)
Time6/12/09 16:01
Quant open-1
Worst price1488.75
Drawdown as % of equity-3.12%
 $152
Includes Typical Broker Commissions trade costs of $8.00
6/12/09 11:33 LCQ9 LIVE CATTLE LONG 1 82.100 6/16 13:38 80.500 5.29%
Trade id #40959518
Max drawdown($640)
Time6/16/09 13:37
Quant open1
Worst price80.525
Drawdown as % of equity-5.29%
 ($648)
Includes Typical Broker Commissions trade costs of $8.00
5/27/09 14:22 @YGQ9 Mini Gold NYSE Liffe LONG 1 953.7 6/2 2:34 973.5 2.21%
Trade id #40667531
Max drawdown($239)
Time5/27/09 20:12
Quant open1
Worst price946.5
Drawdown as % of equity-2.21%
 $649
Includes Typical Broker Commissions trade costs of $8.00
5/28/09 11:43 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 1402.25 5/28 11:48 1408.00 1.04%
Trade id #40690060
Max drawdown($115)
Time5/28/09 11:47
Quant open-1
Worst price1404.75
Drawdown as % of equity-1.04%
 ($123)
Includes Typical Broker Commissions trade costs of $8.00
5/20/09 14:25 @QGN9 MINY NATURAL GAS LONG 1 4.080 5/21 5:27 4.030 1.12%
Trade id #40550946
Max drawdown($125)
Time5/21/09 4:58
Quant open1
Worst price4.035
Drawdown as % of equity-1.12%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/1/2007
  • Suggested Minimum Cap
    $33,333
  • Strategy Age (days)
    7005.73
  • Age
    234 months ago
  • What it trades
    Futures
  • # Trades
    222
  • # Profitable
    97
  • % Profitable
    43.70%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    97%
  • drawdown period
    Aug 07, 2007 - Dec 14, 2008
  • Annual Return (Compounded)
    -6.1%
  • Avg win
    $558.05
  • Avg loss
    $581.52
  • Model Account Values (Raw)
  • Cash
    $14,773
  • Margin Used
    $0
  • Buying Power
    $14,773
  • Ratios
  • W:L ratio
    0.74:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.2
  • Calmar Ratio
    -0.163
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -489.95%
  • Correlation to SP500
    -0.00640
  • Return Percent SP500 (cumu) during strategy life
    412.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.1%
  • Slump
  • Current Slump as Pcnt Equity
    322.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.061%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $582
  • Avg Win
    $558
  • Sum Trade PL (losers)
    $72,690.000
  • Age
  • Num Months filled monthly returns table
    231
  • Win / Loss
  • Sum Trade PL (winners)
    $54,131.000
  • # Winners
    97
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    125
  • % Winners
    43.7%
  • Frequency
  • Avg Position Time (mins)
    3669.33
  • Avg Position Time (hrs)
    61.16
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    6032
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.01
  • Treynor Index
    1.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.48
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.19
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.19
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.12
  • MAE:Equity, average, winning trades
    1.07
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -57.654
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    26.766
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.071
  • Hold-and-Hope Ratio
    -0.017
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07311
  • SD
    0.38891
  • Sharpe ratio (Glass type estimate)
    -0.18800
  • Sharpe ratio (Hedges UMVUE)
    -0.18600
  • df
    71.00000
  • t
    -0.46050
  • p
    0.67672
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61473
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27806
  • Upside Potential Ratio
    1.02299
  • Upside part of mean
    0.26898
  • Downside part of mean
    -0.34210
  • Upside SD
    0.28365
  • Downside SD
    0.26294
  • N nonnegative terms
    53.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.22419
  • Mean of criterion
    -0.07311
  • SD of predictor
    0.29928
  • SD of criterion
    0.38891
  • Covariance
    0.00781
  • r
    0.06711
  • b (slope, estimate of beta)
    0.08721
  • a (intercept, estimate of alpha)
    -0.09267
  • Mean Square Error
    0.15272
  • DF error
    70.00000
  • t(b)
    0.56278
  • p(b)
    0.28769
  • t(a)
    -0.56753
  • p(a)
    0.71391
  • Lowerbound of 95% confidence interval for beta
    -0.22186
  • Upperbound of 95% confidence interval for beta
    0.39629
  • Lowerbound of 95% confidence interval for alpha
    -0.41832
  • Upperbound of 95% confidence interval for alpha
    0.23299
  • Treynor index (mean / b)
    -0.83833
  • Jensen alpha (a)
    -0.09267
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14831
  • SD
    0.39310
  • Sharpe ratio (Glass type estimate)
    -0.37728
  • Sharpe ratio (Hedges UMVUE)
    -0.37328
  • df
    71.00000
  • t
    -0.92414
  • p
    0.82073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17851
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.42657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42923
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47675
  • Upside Potential Ratio
    0.76155
  • Upside part of mean
    0.23691
  • Downside part of mean
    -0.38522
  • Upside SD
    0.23967
  • Downside SD
    0.31108
  • N nonnegative terms
    53.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.17986
  • Mean of criterion
    -0.14831
  • SD of predictor
    0.29364
  • SD of criterion
    0.39310
  • Covariance
    0.01207
  • r
    0.10461
  • b (slope, estimate of beta)
    0.14004
  • a (intercept, estimate of alpha)
    -0.17350
  • Mean Square Error
    0.15502
  • DF error
    70.00000
  • t(b)
    0.88002
  • p(b)
    0.19093
  • t(a)
    -1.06265
  • p(a)
    0.85420
  • Lowerbound of 95% confidence interval for beta
    -0.17734
  • Upperbound of 95% confidence interval for beta
    0.45742
  • Lowerbound of 95% confidence interval for alpha
    -0.49912
  • Upperbound of 95% confidence interval for alpha
    0.15213
  • Treynor index (mean / b)
    -1.05906
  • Jensen alpha (a)
    -0.17350
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18046
  • Expected Shortfall on VaR
    0.21774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03987
  • Expected Shortfall on VaR
    0.09700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.58394
  • Quartile 1
    0.99973
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.53738
  • Mean of quarter 1
    0.88597
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08966
  • Inter Quartile Range
    0.00027
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.88597
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.18056
  • Mean of outliers high
    1.12414
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.74444
  • VaR(95%) (moments method)
    0.00662
  • Expected Shortfall (moments method)
    0.00688
  • Extreme Value Index (regression method)
    -0.19021
  • VaR(95%) (regression method)
    0.11743
  • Expected Shortfall (regression method)
    0.16995
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00718
  • Quartile 1
    0.20116
  • Median
    0.39514
  • Quartile 3
    0.58912
  • Maximum
    0.78310
  • Mean of quarter 1
    0.00718
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.78310
  • Inter Quartile Range
    0.38796
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09821
  • Compounded annual return (geometric extrapolation)
    -0.13784
  • Calmar ratio (compounded annual return / max draw down)
    -0.17601
  • Compounded annual return / average of 25% largest draw downs
    -0.17601
  • Compounded annual return / Expected Shortfall lognormal
    -0.63304
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57156
  • SD
    1.26036
  • Sharpe ratio (Glass type estimate)
    0.45349
  • Sharpe ratio (Hedges UMVUE)
    0.45328
  • df
    1577.00000
  • t
    1.11294
  • p
    0.48217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25206
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81993
  • Upside Potential Ratio
    4.35790
  • Upside part of mean
    3.03785
  • Downside part of mean
    -2.46628
  • Upside SD
    1.05015
  • Downside SD
    0.69709
  • N nonnegative terms
    1344.00000
  • N negative terms
    234.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1578.00000
  • Mean of predictor
    0.35972
  • Mean of criterion
    0.57156
  • SD of predictor
    0.63471
  • SD of criterion
    1.26036
  • Covariance
    0.34797
  • r
    0.43499
  • b (slope, estimate of beta)
    0.86378
  • a (intercept, estimate of alpha)
    0.26100
  • Mean Square Error
    1.28875
  • DF error
    1576.00000
  • t(b)
    19.17810
  • p(b)
    0.28250
  • t(a)
    0.56356
  • p(a)
    0.49290
  • Lowerbound of 95% confidence interval for beta
    0.77543
  • Upperbound of 95% confidence interval for beta
    0.95212
  • Lowerbound of 95% confidence interval for alpha
    -0.64703
  • Upperbound of 95% confidence interval for alpha
    1.16873
  • Treynor index (mean / b)
    0.66170
  • Jensen alpha (a)
    0.26085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14774
  • SD
    1.19053
  • Sharpe ratio (Glass type estimate)
    -0.12410
  • Sharpe ratio (Hedges UMVUE)
    -0.12404
  • df
    1577.00000
  • t
    -0.30456
  • p
    0.50488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67460
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17436
  • Upside Potential Ratio
    3.10688
  • Upside part of mean
    2.63257
  • Downside part of mean
    -2.78032
  • Upside SD
    0.83581
  • Downside SD
    0.84734
  • N nonnegative terms
    1344.00000
  • N negative terms
    234.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1578.00000
  • Mean of predictor
    0.16608
  • Mean of criterion
    -0.14774
  • SD of predictor
    0.61956
  • SD of criterion
    1.19053
  • Covariance
    0.31869
  • r
    0.43206
  • b (slope, estimate of beta)
    0.83024
  • a (intercept, estimate of alpha)
    -0.28563
  • Mean Square Error
    1.15351
  • DF error
    1576.00000
  • t(b)
    19.01930
  • p(b)
    0.28397
  • t(a)
    -0.65260
  • p(a)
    0.50822
  • Lowerbound of 95% confidence interval for beta
    0.74462
  • Upperbound of 95% confidence interval for beta
    0.91586
  • Lowerbound of 95% confidence interval for alpha
    -1.14415
  • Upperbound of 95% confidence interval for alpha
    0.57288
  • Treynor index (mean / b)
    -0.17796
  • Jensen alpha (a)
    -0.28563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11445
  • Expected Shortfall on VaR
    0.14094
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00703
  • Expected Shortfall on VaR
    0.02281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1578.00000
  • Minimum
    0.54636
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.82921
  • Mean of quarter 1
    0.96239
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04632
  • Inter Quartile Range
    0.00000
  • Number outliers low
    234.00000
  • Percentage of outliers low
    0.14829
  • Mean of outliers low
    0.93652
  • Number of outliers high
    224.00000
  • Percentage of outliers high
    0.14195
  • Mean of outliers high
    1.08168
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48923
  • VaR(95%) (moments method)
    0.00484
  • Expected Shortfall (moments method)
    0.01462
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00847
  • Quartile 1
    0.01804
  • Median
    0.03590
  • Quartile 3
    0.10079
  • Maximum
    0.84008
  • Mean of quarter 1
    0.01296
  • Mean of quarter 2
    0.01978
  • Mean of quarter 3
    0.05202
  • Mean of quarter 4
    0.47856
  • Inter Quartile Range
    0.08276
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.84008
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09784
  • Compounded annual return (geometric extrapolation)
    -0.13735
  • Calmar ratio (compounded annual return / max draw down)
    -0.16350
  • Compounded annual return / average of 25% largest draw downs
    -0.28700
  • Compounded annual return / Expected Shortfall lognormal
    -0.97456
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85575
  • Mean of criterion
    0.00000
  • SD of predictor
    0.56121
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68948
  • Mean of criterion
    0.00000
  • SD of predictor
    0.58561
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.11400
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -377787000
  • Max Equity Drawdown (num days)
    495
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

System modification effective 4/1/08

Key Lime in its original form relied upon a characteristic that occasionally presented itself around a markets open. With the increasing number of markets trading nearly around the clock, this phenomenon was no longer reliable and the system failed.

As of 4/1/08, Key Lime will be mostly discretionary. Long term trend trades will be taken where risk is reasonable, but the focus will be mainly on swing trades of a few days to a couple of weeks duration. Trade orders will be sent intraday, so ITM or autotrading is recommended.

We are assuming a $33,000 starting account, however positions will be selected to allow accounts as small as $15,000 to trade, but with much increased equity volatility.

Trades are in most of the active futures markets. Only electronic markets will be used to maintain better compatibility with C2s autotrading. Although it has not been thoroughly checked, it is believed that all markets traded are offered by Interactive Brokers. Key Lime is currently being autotraded successfully with Open E Cry. www.openecry.com

All trades will have protective stops, and multiple entries in individual trades will seldom - if ever - occur because of the small account size. Also, high margin and/or high volatility markets, such as many of the energies, will not be traded.

Key Lime is being used as a "front end" for some of my own trading, as C2 allows a few order types that are not natively supported by some brokers. As such, I take all trades presented here. It does not represent all of my trading, just some of the shorter term discretionary trades. Most of my long term trades are represented by my signature system, Sliced Bread (www.collective2.com/go/slicedbread).
Trade this strategy at Tradier

Summary Statistics

Strategy began
2007-04-01
Suggested Minimum Capital
$33,300
# Trades
222
# Profitable
97
% Profitable
43.7%
Correlation S&P500
-0.006
Sharpe Ratio
-0.14
Sortino Ratio
-0.20
Beta
-0.01
Alpha
-0.01

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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